Henderson scored on a 2-yard run early in the second quarter to give the Aztecs a 7-0 lead.
O'Connell, who struggled throwing the ball, iced the win on a 14-yard TD run with 7:05 left in the game to put the Aztecs ahead 17-6.
San Diego State (3-9, 3-5 Mountain West) averted setting a dubious school record under first-year head coach Chuck Long. With a defeat, the Aztecs would have become the first team in the school's 86-year football history with 10 losses.
O'Connell, who completed just 7-of-19 passes for 51 yards, gained 68 yards on 12 carries.
Colorado St. (4-8, 1-7) lost its seventh consecutive game, scoring only on field goals of 27 and 23 yards by Jason Smith.
Garrett Palmer added a 23-yard field goal for San Diego State, which won despite having just nine first downs and 235 total yards of offense.
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Will Grier threw four touchdown passes to four receivers -- all in the first half -- and No. 25 Florida downed third-ranked Mississippi 38-10 on Saturday night.
Leonard Fournette highlighted his SEC-record third straight 200-yard game with a 75-yard touchdown run, and No. 9 LSU overcame Eastern Michigan 44-22 on Saturday night.
An officiating error led to an Oklahoma State touchdown Saturday in the Cowboys' 36-34 win over Kansas State.
Texas A&M receiver Ricky Seals-Jones, who was ejected for targeting midway in the second quarter of Saturday's game, took to Twitter late in the game, retweeting a tweet that questioned the call.
Florida State running back Dalvin Cook exited in the first quarter of the Seminoles' 24-16 win over Wake Forest with a left hamstring injury. He is day-to-day.
As if things weren't going bad enough at Texas, the Longhorns appear to have players on Twitter during lopsided losses and jabs at their coach accidentally being sent from other nearby teams.